i often do. if it's something that interests me, i like to at least have some general idea about how it was made. and besides, you get to hear funny/interesting anecdotes, and concept art, and stuff that didn't make the finished product, and so on.
like, for instance, i've watched most of lotr extended edition's six discs worth of documentary extras, and all the director/writer commentaries, and i've read some of christopher tolkien's books about the making of his father's books.
but i know that some people don't like to do so because "it spoils the magic", which is a viewpoint i don't quite understand, tbh.
where do you fall on this?